Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
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- dc.contributor.author Peñaranda, Franciscoca
- dc.contributor.author Sentana, Enriqueca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T10:49:55Z
- dc.date.available 2017-07-26T10:49:55Z
- dc.date.issued 2008-06-01
- dc.date.modified 2017-07-23T02:11:58Z
- dc.description.abstract We propose new spanning tests that assess if the initial and additional assets share the economically meaningful cost and mean representing portfolios. We prove their asymptotic equivalence to existing tests under local alternatives. We also show that unlike two-step or iterated procedures, single-step methods such as continuously updated GMM yield numerically identical overidentifyng restrictions tests, so there is arguably a single spanning test. To prove these results, we extend optimal GMM inference to deal with singularities in the long run second moment matrix of the influence functions. Finally, we test for spanning using size and book-to-market sorted US stock portfolios.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1101
- dc.identifier.citation Journal of Econometrics, forthcoming
- dc.identifier.uri http://hdl.handle.net/10230/1012
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1101
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword asset pricing
- dc.subject.keyword continuously updated gmm
- dc.subject.keyword generalised empirical likelihood
- dc.subject.keyword generalised inverse
- dc.subject.keyword representing portfolios
- dc.subject.keyword singular covariance matrix
- dc.subject.keyword Finance and Accounting
- dc.title Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approachca
- dc.type info:eu-repo/semantics/workingPaper